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Strategies / Mean reversion / Keltner Band Reentry Reversal

Keltner Band Reentry Reversal

Buys when price falls below the outer lower Keltner band and later crosses back above the inner lower band. Shorts mirror this with the upper bands, and each trade has a target equal to its risk distance.

Mean reversionLong & shortIntradayEUR/USD10 min
n/aProfit factor
12,497Net profit USD
51.77%Win rate
2,011Trades
-11,141Max drawdown
6.21Avg trade

Best run of 7. EUR/USD, 10 min, spread 1, from run sweeps:2026-10-11-EURUSD-10m-opt.tsv:17.

Entry rules, long

  1. The close crosses under the outer lower band, EMA (50) minus 3.75 times ATR (10).
  3. The stop is the lowest low of the last 5 bars, but no further than 10% below the close.
  4. The target is set the same distance above the close as the stop is below it.
  5. Only one position is open at a time.
  6. Signals are only considered after bar 60.

Entry rules, short

  1. The close crosses over the outer upper band, EMA (50) plus 3.75 times ATR (10).
  3. The stop is the highest high of the last 5 bars, but no further than 10% above the close.
  4. The target is set the same distance below the close as the stop is above it.
  5. Only one position is open at a time.
  6. Signals are only considered after bar 60.

Exit rules

  2. A long is closed at market when the close rises to or above the target.
  3. A short is closed at market when the close rises to or above the stop, or falls to or below the target.
  4. An opposite entry signal reverses an open position.

Test conditions

PeriodUp to 2026-10-11
InstrumentEUR/USD, 10 minutes
Spread1 points
Starting capital1,000,000
CostsSpread only. Commissions and overnight financing are not included.
BarsUp to 200,000 bars, fewer where the instrument has less history
Last tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
EUR/USDBest run10 minn/a 2,01151.7712,497 USD-11,141
USD/JPY1 hourn/a 1,49351.84391,650 USD-178,600
Dow JonesDailyn/a 14942.286,799 EUR-4,072
Brent CrudeDailyn/a 7755.846,052 EUR-3,576
Dow Jones15 minn/a 1,84850.495,464 EUR-3,920
GBP/USD4 hoursn/a 50952.853,226 USD-2,768
Gold4 hoursn/a 40751.11536 EUR-526

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Keltner Band Reentry Reversal
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 10 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE lcc = 0
ONCE scc = 0
ONCE slp = 0
ONCE tpp = 0
ONCE slset = 0

ema = ExponentialAverage[50](close)
myAtr = AverageTrueRange[10](close)
inup = ema + myAtr * 2.75
inlo = ema - myAtr * 2.75
outup = ema + myAtr * 3.75
outlo = ema - myAtr * 3.75

84 more lines: the entry and exit rules.

Setup

How to load it

  1. Copy the code with the copy button on the code block.
  2. In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
  3. Paste the code, give the system a name and save it.
  4. Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

Keltner ChannelATREMA
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 11,141 USD is large next to the net profit of 12,497 USD.

Questions

About this strategy

Can I run Keltner Band Reentry Reversal in ProOrder?

Yes. The code is ProBuilder and runs as an automated ProOrder system. Backtest it on your own account with your own spread and position size before trading it live.

Which markets was it tested on?

It was tested on 7 market and timeframe combinations. The best run by trade count was EUR/USD, 10 minutes, with 2,011 trades.

How large was the drawdown?

The best run had a maximum drawdown of 11,141 USD at the tested position size, against a net result of 12,497 USD.

Does it trade long, short or both?

It trades both long and short.

Related

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Slow MACD Slope

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ATR Band

Also a mean reversion strategy.

10.31 PF · 53 trades

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Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.comStatsDocs